Quantile Regression of High-Frequency Data Tail Dynamics via a Recurrent Neural Network

Author: Nicolo Ceneda
Contact: nicolo.ceneda@student.unisg.ch
Website: nicoloceneda.github.io
Institution: University of St Gallen
Course: Master of Banking and Finance
Last update: 18 May 2020

   

Project Structure

│
├── Programming and Computing Setup.md    <--  Programming and computing setup required to execute the 
│                                              pograms. 
│                                              
├── extract_data.py                       <--  This script constructs the command line interface which 
│        │                                     is used to extract, clean and manage trade data for se- 
│        │                                     lected symbols, dates and times from the wrds database.
│        │
│        └── extract_data_functions.py    <--  This script contains general functions called in 'extract-
│                                              _data.py'. Functions specific to the 'extract_data.py' are 
│                                              not contained in this script.
│
├── extract_data_bg.sh                    <--  Wrapper script to execute 'extract_data.py' in 'debugging' 
│                                              mode.
│
├── extract_data_sl.sh                    <--  Wrapper script to execute extract_data.py in 'symbol_list' 
│                                              mode.
│
└── appendix.py                           <--  This script generates some of the illustrations used in the 
                                               theory review section of the paper.